I was able to find a possible solution for the unexpected behavior. The behavior is usually caused by the proxy servers not having the correct header files.
Work with your internal IT team to verify that the proxy server is using the following headers:
For additional information, I would review the solution found in the following Knowledge Base article: Reverse Proxy Server URL Reverts to Internal URL | Tableau Software (source for above information)
I hope this helps!
After you confirm the headers, also open up the Tableau Server configure window, a navigate to the SAML tab.
Make sure the Return url is set to your proxy domain name, and if it is not set that way now, update it and then reexport the metadata file used to configure your Idp so you can update the settings there.